Capture. Report. Store
Our Swap Data Repository captures, stores and reports data for cleared, non-cleared and bilateral swaps.
CME Group/Chicago HQ
Local: +1 312 930 1000
Toll Free: +1 866 716 7274
Global Customer Contacts
Product inquiries, website issues,
and specific questions
Phone: +1 312 930 2316
Toll Free: +1 800 331 3332
More CME Group Direct Lines
Phone list by department
ITC NY - UST EOD Commentary: The Treasury curve steepened out sharply on Friday as 5y and 10y yields fell by 4bps and 2bps, while 30y yields actually rose by 2bps. We heard some better LM selling of TYZ just as NY walked in, before one dealer got lifted out of some 5s in very large size, which was followed by a 6.5k block buy in FVZ. Focus for the day was NFP and flow before the number were particularly light and skewed to slightly better selling. The soft report gave treasuries a strong bid as 10s ripped higher – flows in swaps and USTs were skewed toward QE plays, steepeners (7s30s a favorite), outright longs in the belly from Intl and domestic RM and outright longs in 10s from LM. The most active accts were RM and LM today. We heard better buying in MBS as the market started to re-price in possible Fed mortgages purchases. Dealers suggested LM were behind a 5k Block buy in TYZ at 132-24 (07:30EDT), which was later unwound via another block at 133-09 (12:29EDT). Later in the session we heard some profit taking from FM in TY and some decent rate lock selling/paying which weighed on the curve all the way into the close. Note this factor is particularly in focus because of the large issuance outlook for this month.
ITC NY – Fed Ops: The Fed sold $7.8bn in the 5m-1y5m sector, covering 02/13-02/14 maturity bucket. The operation saw the bid/cover came in higher at 11.52x (vs. 9.52x and 12.9x previously). Securities sold in the largest amount were on the 1.375% 02/13, 1.75% 04/13 and 0.75% 12/13 for a respective size of $1.5bn, $1.4bn and $2bn. There was no reaction on the curve following the operation.
ITC NY – Swap EOD Commentary: Spreads were mixed on Friday as the market pivoted around the 7y point with sub-7y spreads all closing tighter while the rest were marginally wider. 3m $ libor fixed lower by 0.06bps at 0.4077% very marginally higher than calls prompting a small move wider in 2y sprds. The curve put in a decent bear steepening move in London, as we heard FM PAYing 5s vs. the wings in very good size and LM PAYing the back-end, though as NY walked in we heard FM REC'ing in the 5y sector which forced some richening ahead of the NFP release. After the number we heard some much better PAYing in the long-end FM and HFs added to 10s30s step'ners and a whole host of QE3 trades went through. Bank portfolio put on 5y10y spread curve flatteners. We heard a good mortgage related PAYer in 10s from the highs. The afternoon saw much better rate lock paying/selling across 10y and 30y, FM putting long-end wideners and one decent 30y rate lock which saw spreads pop a touch wider following the close. In terms, of issuance there was one deal priced from BNP, a 5y for $1.25bn, the deal looked to have been swapped and gave some short lived support to the 5y sector.
*Disclaimer: The information in the Market Commentaries was obtained from sources believed to be reliable, but we do not guarantee its accuracy. Neither the information nor any opinion expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts.